A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk

DOI10.1155/2012/761637zbMath1264.91142OpenAlexW1981198136WikidataQ58911799 ScholiaQ58911799MaRDI QIDQ1955160

Su-Mei Zhang, Lihe Wang

Publication date: 11 June 2013

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/761637

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items (10)

Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing ⋮ Calculation of credit valuation adjustment based on least square Monte Carlo methods ⋮ Valuation of correlation options under a stochastic interest rate model with regime switching ⋮ PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY ⋮ Option pricing under two-factor stochastic volatility jump-diffusion model ⋮ Pricing extendible options using the fast Fourier transform ⋮ Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations ⋮ Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps ⋮ Tensor transform-based quaternion Fourier transform algorithm ⋮ Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• Hyperbolic distributions in finance
• Pricing and hedging long-term options
• A Fourier Transform Method for Spread Option Pricing
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk